High-level dependence in time series models

DOI10.1007/s10687-009-0084-8zbMath1226.60079WikidataQ102130215 ScholiaQ102130215MaRDI QIDQ650680

Martin Schlather, Vicky Fasen, Claudia Klüppelberg

Publication date: 26 November 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-009-0084-8

zbMATH Keywords

nonlinear model; linear model; ARCH; GARCH; extreme value theory; extremal index; multivariate regular variation; COGARCH; random recurrence equation; extreme cluster; extreme dependence measure; Lévy-driven Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

Max-stable processes for modeling extremes observed in space and time, On the measurement and treatment of extremes in time series, The extremogram: a correlogram for extreme events, Storm processes and stochastic geometry, Extremal dependence measure and extremogram: the regularly varying case, Joint extremal behavior of hidden and observable time series with applications to GARCH processes, The realization problem for tail correlation functions, A Fourier analysis of extreme events

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